A Rational Expectations Equilibrium With Informative Trading Volume PDF Download
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Author | : Jan Schneider |
Publisher | : |
Total Pages | : 49 |
Release | : 2009 |
Genre | : |
ISBN | : |
Download A Rational Expectations Equilibrium with Informative Trading Volume Book in PDF, ePub and Kindle
A large number of empirical studies find that trading volume contains information about the distribution of future returns. While these studies indicate that observing volume is helpful to an outside observer of the economy it is not clear how investors within the economy can learn from trading volume. In this paper I show how trading volume helps investors to evaluate the precision of the aggregate information in the price. I construct a model that offers a closed form solution of a rational expectations equilibrium where all investors learn from (1) private signals, (2) the market price and (3) aggregate trading volume.
Author | : Han N. Ozsoylev |
Publisher | : |
Total Pages | : 28 |
Release | : 2015 |
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Download Liquidity and Asset Prices in Rational Expectations Equilibrium with Ambiguous Information Book in PDF, ePub and Kindle
The quality of information in financial asset markets is often hard to estimate. This paper analyzes information transmission in asset markets when agents treat information of unknown quality as ambiguous. We consider a market with risk-averse informed investors, risk-neutral competitive arbitrageurs, and noisy supply of the risky asset, first studied in Vives (1995a,b) with unambiguous information. Ambiguous information gives rise to the possibility of illiquid market where arbitrageurs choose not to trade in a rational expectations equilibrium. When market is illiquid, small informational or supply shocks have relatively large effects on asset prices. We show that trading volume decreases and liquidity risk increases with ambiguity about probability distribution of asset payoffs. High ambiguity may lead to excess volatility of asset prices.
Author | : Belinda Ann Brewer Gillette |
Publisher | : |
Total Pages | : 218 |
Release | : 1991 |
Genre | : Rational expectations (Economic theory) |
ISBN | : |
Download Rational Expectations Equilibrium in a Market with Restricted Access to Differential Information Book in PDF, ePub and Kindle
Author | : Hua He |
Publisher | : |
Total Pages | : 72 |
Release | : 1995 |
Genre | : Investment analysis |
ISBN | : |
Download Differential Information and Dynamic Behavior of Stock Trading Volume Book in PDF, ePub and Kindle
This paper develops a multi-period rational expectations model of stock trading in which investors have differential information concerning the underlying value of the stock. Investors trade competitively in the stock market based on their private information and the information revealed by the market-clearing prices, as well as other public news. We examine how trading volume is related to the information flow in the market and how investors' trading reveals their private information.
Author | : Vijay Krishna |
Publisher | : |
Total Pages | : 16 |
Release | : 1983 |
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Download Market Games with Asymmetric Information Book in PDF, ePub and Kindle
Author | : Jerome Detemple |
Publisher | : |
Total Pages | : 0 |
Release | : 2020 |
Genre | : |
ISBN | : |
Download Dynamic Noisy Rational Expectations Equilibrium with Insider Information Book in PDF, ePub and Kindle
We study equilibria in multi-asset and multi-agent continuous-time economies with asymmetric information and bounded rational noise traders. We establish existence of two equilibria. First, a full communication one where the informed agents' signal is disclosed to the market, and static policies are optimal. Second, a partial communication one where the signal disclosed is affine in the informed and noise traders' signals, and dynamic policies are optimal. Here, information asymmetry creates demand for two public funds, as well as a dark pool where private information trades can be implemented. Markets are endogenously complete and equilibrium returns have a three factor structure, with stochastic factors and loadings. Results are valid for constant absolute risk averse investors; general vector diffusions for fundamentals; non-linear terminal payoffs, and non-Gaussian noise trading. Asset price dynamics and public information flows are endogenous, and rational expectations equilibria are special cases of the general results.
Author | : Buddhavarapu Sailesh Ramamurtie |
Publisher | : |
Total Pages | : 378 |
Release | : 1990 |
Genre | : |
ISBN | : |
Download Rational Expectations Equilibrium in a Large Economy with Segmented Asset Markets Book in PDF, ePub and Kindle
Author | : Sonnath Basu |
Publisher | : |
Total Pages | : 194 |
Release | : 1990 |
Genre | : |
ISBN | : |
Download Information, Expectations and Equilibrium Book in PDF, ePub and Kindle
Author | : Carl Gaston Plat |
Publisher | : |
Total Pages | : 388 |
Release | : 1995 |
Genre | : Rational expectations (Economic theory) |
ISBN | : |
Download Noisy Rational Expectations with Stochastic Fundamentals Book in PDF, ePub and Kindle
Author | : Graciela Chichilnisky |
Publisher | : |
Total Pages | : 26 |
Release | : |
Genre | : |
ISBN | : |
Download Market Games with Asymmetric Information Book in PDF, ePub and Kindle